Monetary policy and country risk

Vladimir Teles () and Joaquim Andrade

Applied Economics, 2008, vol. 40, issue 15, 2021-2028

Abstract: This article develops an econometric model in order to study country risk behaviour for six emerging economies (Argentina, Mexico, Russia, Thailand, Korea and Indonesia), by expanding the country beta risk model of Harvey and Zhou (1993), Erb et al. (1996a, b) and Gangemi et al. (2000). Towards this end, we have analysed the impact of macroeconomic variables, especially monetary policy, upon country risk, by way of a time-varying parameter approach. The results indicate an unstable effect of monetary policy upon country risk in periods of crisis. However, this effect is stable in other periods, and the Favero-Giavazzi effect is not verified for all economies, with an opposite effect being observed in many cases.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/00036840600949249 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Monetary policy and country risk (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:applec:v:40:y:2008:i:15:p:2021-2028

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036840600949249

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().